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research article

A heuristic for nonlinear global optimization

Bierlaire, Michel  
•
Thémans, Michaël  
•
Zufferey, Nicolas
2010
INFORMS Journal of Computing

We propose a new heuristic for nonlinear global optimization combining a variable neighborhood search framework with a modified trust-region algorithm as local search. The proposed method presents the capability to prematurely interrupt the local search if the iterates are converging to a local minimum that has already been visited or if they are reaching an area where no significant improvement can be expected. The neighborhoods, as well as the neighbors selection procedure, are exploiting the curvature of the objective function. Numerical tests are performed on a set of unconstrained nonlinear problems from the literature. Results illustrate that the new method significantly outperforms existing heuristics from the literature in terms of success rate, CPU time, and number of function evaluations.

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Type
research article
DOI
10.1287/ijoc.1090.0343
Web of Science ID

WOS:000275160700008

Author(s)
Bierlaire, Michel  
Thémans, Michaël  
Zufferey, Nicolas
Date Issued

2010

Published in
INFORMS Journal of Computing
Volume

22

Issue

1

Start page

59

End page

70

Subjects

nonlinear optimization

•

global minimum

•

heuristic

•

trust-region algorithm

•

Variable Neighborhood Search

•

Tabu-Search

•

Genetic Algorithms

•

Pattern Search

•

Polynomials

•

Optima

•

Links

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
TRANSP-OR  
Available on Infoscience
June 15, 2009
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/40461
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